Classic high win rate "pray and hope" system. Small wins and big losers. A good system should be the opposite. The system will blow up one day. 5-start reviewers only look at win rate and do not understand expectancy.

Asset Rotation

Trades

Stocks

Cumu P/L

$2,411

Compound Ann Return

2.7%

# Trades

16

Sharpe Ratio

0.30

Subscribe for: $9.99 each month

The Cake

This looks like a good trend following system. Inga German who comments on less than 50% win rate clearly does not understand anything about expectancy and that one can consistently make money with a low win % rate, as long as the winners are big enough.

The Cake looks nice with an expectancy typical for a good trend following system, many small losses and a few huge winners.

System stopped working in June 2010 and been going down since, even though the SPX has been trending upwards.

This system is probably a classic case of hindsight bias. The "success" up to May 2010 was based on a small number of trades and was likely pure luck. At that point the system attracted a lot of attention on C2 because of its "success". Subsequently the luck ran out.

Equity curve looks good at first glance, but this is a classic low sharpe system with many small profts taken and then the occasional large loss wiping out the profits. It has happened on several occasions in the past and it will continue to happen. Nassim Taleb calls systems like these "randomness under the carpet".